(CNN) -- Authorities have "pulled out all the stops" to find the last of three escaped Arizona convicts and his suspected accomplice after the second was captured in Wyoming, the federal agent leading the search said Monday.

David Gonzales, the U.S. marshal for Arizona, warned John McCluskey and Casslyn Mae Welch "have nothing to lose" and may not surrender without a battle.

"It changes by the minute, but we are convinced that they are not going to go down lightly," Gonzales told CNN.

Gonzales told CNN's "Rick's List" that investigators believe McCluskey and Welch were in central Wyoming. But Rod Ostermiller, the acting U.S. Marshal in Montana, said the service is also investigating whether the pair may have made it as far as that state's Glacier National Park, close to the Canadian border.

"We are working leads and interviewing people right now," Ostermiller said Monday night. He said his office is coordinating its efforts with the Royal Canadian Mounted Police.

McCluskey, 45, was serving a 15-year sentence for attempted second-degree murder and other charges when he and fellow convicts Tracy Province and Daniel Renwick broke out of prison July 30. Authorities have identified Welch as McCluskey's cousin and fiancee.

Welch helped the convicts escape by throwing cutting tools over a prison fence, according to Charles Ryan, director of Arizona's Department of Corrections. And McCluskey's mother and ex-wife have been arrested on charges of helping the fugitives, prosecutors said Monday night.

Renwick, 35, arrested on July 31 in Rifle, Colorado, after a shootout with police, and Province and McCluskey are suspected in the killings of a couple whose bodies were found Wednesday in New Mexico, Gonzales said.

John Charles McCluskey, 45, seen here in 2005, is described as armed and dangerous.

"There was evidence that ties them, our suspects who escaped from prison, directly to their murders," Gonzales told CNN.

Province was captured without incident Monday in Meeteetse, Wyoming, near Yellowstone National Park. Gonzales said authorities were notified by a Meeteetse citizen who sat and talked with Province on Sunday on the steps of a church in town.

When the woman returned home and saw the news reports, she immediately recognized Province and called police. Marshals staked out the church and arrested Province at 6:20 a.m. Monday, Gonzales said.

When arrested, Province was carrying a 9mm pistol and a hitchhiking sign with "Casper" written on it, marshals said.

"He was relieved this manhunt was over for him," Gonzales said.

A $40,000 reward is being offered for information leading to the remaining escapee's arrest. Authorities urged people to call (602) 542-1212 if they have any information about the case.

Before the escape, the 42-year-old Province was serving a life sentence for murder and armed robbery. Renwick was serving a 22-year term for second-degree murder.

McCluskey and Welch are believed to be driving a gray Nissan Sentra, Gonzales said. And Arizona Department of Public Safety Director Robert Halliday said the manhunt will continue with full force.

"We are going to be on McCluskey like a cheap suit. We are not going to pull this thing down," Halliday said.

Sunday, the search turned to the area around Yellowstone National Park, at the northwest corner of Wyoming. Marshals said McClusky and Province had belonged to a white supremacist prison gang and may have been trying to reach fellow believers in the Northwest. But Gonzales' chief deputy, Fidencio Rivera, said Monday that possibility appeared less likely Monday night.

Washburn allegedly provided "financial and other aid" to McCluskey, Province and Welch. A search warrant was executed, and Washburn was being held on $250,000 bond at the Gila County Jail in Globe, Arizona, the U.S. Marshals said.

In addition, state charges have been brought against Washburn and McCluskey's ex-wife, Diana Joy Glattfelder, the state attorney general's office announced late Monday. Both are charged with hindering prosecution and conspiring to commit escape by providing the fugitives with "money, supplies and/or transportation," prosecutors said in a statement announcing the arrests.